Skip to main content
Loading
Home
Create Account
Cart
Facebook
Twitter
LinkedIn
Toggle search
Toggle navigation
Keyword Search
Sign In
Applied Econometrics
- Content Outline
Back to Exam page
Getting Started
The Model Specification Phase
The Principal of Parsimony
The Shrinkage Principle
The Generic Single-Equation Linear Regression Model
Components of the Model
Endogenous Variables, Exogenous Variables, Lagged Exogenous Variables, Lagged Endogenous Variables
The Disturbance (or Error) Term
Assumptions of Econometric Models
Data and Data Transformations
Data Types--Time-Series, Cross-Sectional, Combination
Getting a Feel for the Data--Plots of Key Variables,Scatter Plots, and Descriptive Statistics
Massaging the Data
Expression of Data--Nominal versus Real or Inflation-Adjusted Measures
Expression of Data--Total or Per Capita Terms
Expression of Data--Levels, Changes, or Percentage Changes
Use of Moving Averages or Exponential Smoothing
Adjustments for Seasonality
Imputations for Missing Data
Mathematical and Statistical Considerations
Key Constructs in Applied Econometric Models
Estimation of Structural Parameters in Applied Econometrics
Marginal Effects, Standardized Regression Coefficients. Elasticities, and Partial Correlation Coefficients
Interval Estimation and the Construction of Confidence Intervals
Common Tests of Hypotheses
Tests of Hypotheses Regarding Structural Parameters of Econometric Models
Statistical Distributions--Standard Normal, t, Chi-squared, and F
Level of Significance and p-Values
Goodness-of-Fit Test
Tests of Single Coefficients
Tests of Linear Combinations of Coefficients
Additional Tests of Hypotheses in Econometric Models
Test of Normality of the Residuals (the Jarque-Bera Test)
Ramsey Regression Specification Error Test (the Ramsey RESET Test)
Box-Cox Test (Test of Functional Form)
Granger Causality Test (Test of Precedence)
Hausman Test (Test of Endogeneity/Exogeneity of Explanatory Variables)
Use of Indicator or Dummy Variables
Overview (the Representation of Qualitative Variables in Applied Econometrics)
Autocorrelation or Serial Correlation
Definition, Prevalence, and Consequences of Serial Correlation
Systematic Pattern in the Residuals
Positive Versus Negative Autocorrelation
Formal Tests of Serial Correlation
Durbin-Watson Test
Solution to the Serial Correlation Problem
Heteroscedasticity
Definition, Prevalence, and Consequences of Heteroscedasticity
Indigenous to the Use of Cross-Sectional Data
Examination of the Residuals--Graphical Depictions
Formal Tests of Heteroscedasticity
Solution to the Heteroscedasticity Problem
Application of Weighted Least Squares
Collinearity
Definition, Prevalence, and Consequences of Collinearity
Consequences for Structural Parameter Estimates and Forecasting
Formal Diagnostics of Collinearity
Influence Diagnostics: The Detection and Assessment of Data Outliers and Leverage Points
Definition and Consequences of Influence Points
Structural Change and Stability of Structural Coefficients
Abrupt Structural Change
Breakpoint(s)
Use of Sequential Chow Tests
Formal Tests of Parameter Instability
Recursive Estimation
Recursive Residuals
Solution(s) to Structural Change or Parameter Instability
Attention to the Time Frame of the Econometric Analysis
Use of Dummy Variables
Distributed Lag Models
Overview of Distributed Lag Models
ARCH and GARCH Models
Overview of ARCH and GARCH Models
Mechanics of the Autoregressive Conditional Heteroscedasticity (ARCH) Model
Stability Considerations
Mechanics of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model
Qualitative Choice Models
Overview of Qualitative Choice Models
Binary Choice Models--The Probit Model
Binary Choice Models--The Logit Model
Estimation of Probit and Logit Models
Calculation of Appropriate Marginal Effects
The Prediction-Success Table
Censored Response Models
Pooling of Time-Series and Cross-Sectional Data
Overview and Examples of Pooled Time-Series and Cross-Sectional Data
To Pool or Not to Pool?
Cross-Sectionally Heteroscedastic and Time-Wise Autoregressive Models
Fixed and Random Effects
Simultaneous-Equation Models
Order Conditions for Identification
Impact, Interim, and Total Multipliers
Stability Conditions of Simultaneous-Equation Models
Seemingly Unrelated Regression (SUR) Models
{1}
##LOC[OK]##
{1}
##LOC[OK]##
##LOC[Cancel]##
{1}
##LOC[OK]##
##LOC[Cancel]##